Consider a portfolio with two foreign currencies: the Canadian dollar (CAD) and the euro (EUR). These currencies are correlated with and have a volatility against the dollar of 5% and 12 %, respectively. The portfolio has US$2 million invested in CAD and US$1 million in the EUR a) (15 Marks) We want to increase the CAD position by US$10,000 Calculate the incremental VaR by using 1) the approximation (marginal VaR method), and 2) the full revaluation. b) (15 Marks) Find the component VaR, and the percentage contribution of these two currencies. c) (15 Marks) Marginal VaR and component VaR can help the portfolio manager to decrease the risk of the portfolio. Construct the current portfolio to a Global Minimum Risk Portfolio.